An algorithm for approximating piecewise linear concave functions from sample gradients

DOI10.1016/S0167-6377(02)00187-6zbMath1031.90024MaRDI QIDQ1870009

Warren B. Powell, Huseyin Topaloglu

Publication date: 4 May 2003

Published in: Operations Research Letters (Search for Journal in Brave)

zbMATH Keywords

ApproximationAlmost sure convergenceConcave functionsStochastic gradient methods

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Approximation methods and heuristics in mathematical programming (90C59) Methods of reduced gradient type (90C52)

Cites Work

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• Convergence analysis of some methods for minimizing a nonsmooth convex function
• Inexact subgradient methods with applications in stochastic programming
• Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
• An Adaptive, Distribution-Free Algorithm for the Newsvendor Problem with Censored Demands, with Applications to Inventory and Distribution
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• An Adaptive Dynamic Programming Algorithm for Dynamic Fleet Management, I: Single Period Travel Times
• Subdifferential Convergence in Stochastic Programs

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